Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0285 |
| Annualized Std Dev | 0.2920 |
| Annualized Sharpe (Rf=0%) | -0.0977 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5585.0000 |
| NAs | 1.0000 |
| Minimum | -0.1420 |
| Quartile 1 | -0.0070 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0077 |
| Maximum | 0.2830 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0003 |
| Stdev | 0.0184 |
| Skewness | 0.9631 |
| Kurtosis | 28.9138 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0129 |
| Gain Deviation | 0.0148 |
| Loss Deviation | 0.0146 |
| Downside Deviation (MAR=210%) | 0.0173 |
| Downside Deviation (Rf=0%) | 0.0129 |
| Downside Deviation (0%) | 0.0129 |
| Maximum Drawdown | 0.7089 |
| Historical VaR (95%) | -0.0254 |
| Historical ES (95%) | -0.0433 |
| Modified VaR (95%) | -0.0141 |
| Modified ES (95%) | -0.0141 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-07-12 | 2020-03-19 | NA | -0.7089 | 5457 | 5204 | NA |
| 1999-01-22 | 1999-04-12 | 1999-07-09 | -0.1064 | 117 | 55 | 62 |
| 1999-01-06 | 1999-01-06 | 1999-01-07 | -0.0110 | 2 | 1 | 1 |
| 1999-01-13 | 1999-01-13 | 1999-01-15 | -0.0109 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.6 | 0 | -0.6 | -0.6 | -0.6 | 0.6 | 0 | 0.6 | -0.6 | -0.6 | 0.6 | 2.4 | 1.8 |
| 2000 | 0.6 | -3.3 | 1.3 | 3.4 | -0.7 | 1.3 | 1.9 | 0 | 0.6 | 0.7 | -2 | 0.7 | 4.6 |
| 2001 | 1.8 | 1 | 1 | 2.4 | 0.5 | 0.9 | 0.9 | -0.5 | -3.6 | 0.9 | 2.5 | -0.9 | 7 |
| 2002 | 0.5 | 0.9 | 0.1 | 1.2 | -1.3 | 6.2 | 4.4 | 0.5 | -2.4 | 0 | -0.8 | 0.8 | 10.3 |
| 2003 | 1.1 | 0.3 | 1.8 | -1.3 | -0.1 | 0 | -1 | 0.7 | 1.1 | 0.3 | -0.5 | 0.3 | 2.7 |
| 2004 | 4.1 | -0.8 | 0.4 | -4 | 0.9 | -0.1 | 3.5 | 1.2 | 0.4 | 0.2 | -1 | 0.3 | 5.1 |
| 2005 | 0.7 | 1.9 | -0.1 | -1.2 | -1.3 | -2 | 0 | 1 | 0.4 | -1.5 | 1.1 | 0.1 | -1 |
| 2006 | 0.9 | -1.2 | 0.2 | -0.1 | -3.3 | 0.5 | 1 | -2.2 | -1.9 | 1.3 | 1.1 | -0.6 | -4.3 |
| 2007 | 1.1 | -0.4 | 0.5 | 0 | 0.4 | 1.6 | -1.2 | 1.2 | 0.7 | -1.2 | 1 | 0.3 | 4 |
| 2008 | -0.6 | 0.9 | 2.6 | 3.9 | -0.2 | -2.4 | 0 | -1 | 4 | 1.5 | -0.3 | 0 | 8.5 |
| 2009 | -4.6 | 3.3 | -2.1 | 0.6 | -0.8 | 0.4 | 0.2 | -1.7 | -0.5 | -1.6 | 0.4 | 0.5 | -6 |
| 2010 | -0.5 | -0.6 | 0.3 | -0.8 | 0.7 | -1.7 | -0.2 | 1.4 | 0.5 | 0.2 | 0.8 | 1.7 | 1.7 |
| 2011 | 2.1 | -1.3 | -1.2 | 1.1 | 1 | 0.5 | 0.5 | -0.4 | -0.4 | -1.9 | 0.5 | -1.2 | -0.8 |
| 2012 | 0.6 | -0.2 | 3.2 | 0 | 0.2 | 0.7 | 1.2 | -0.4 | -1 | 0 | -0.7 | 0.8 | 4.3 |
| 2013 | 1.4 | 0.4 | -2.6 | 0.5 | -1 | 1.9 | 3.7 | 0.5 | -0.5 | -0.3 | 0 | -0.2 | 3.6 |
| 2014 | -0.8 | 0 | 0.8 | 0.2 | 0.6 | 0.3 | 0 | 0.4 | -0.7 | 0.8 | -1.3 | -2.1 | -1.8 |
| 2015 | -0.3 | -1.1 | 0.9 | 1.4 | 1.3 | 0 | 0.9 | -1.6 | -0.6 | 0.8 | -0.6 | -1.2 | -0.1 |
| 2016 | 0.2 | 0.5 | -0.2 | 0.2 | 1.5 | 0.2 | -0.6 | 0 | -0.8 | -3 | -0.4 | -0.2 | -2.6 |
| 2017 | -0.2 | 1.3 | -1 | 1.2 | 1.2 | 1.4 | 0.4 | 1.9 | 1.7 | -0.1 | -0.5 | 1.9 | 9.5 |
| 2018 | 1.5 | -1.2 | 0.9 | -4.4 | -0.3 | 1.6 | -0.5 | 0.3 | 0 | 1.2 | 1.5 | 0.9 | 1.4 |
| 2019 | -0.4 | 0.4 | 0.2 | -0.4 | -1 | -0.2 | -0.6 | 0.4 | -0.2 | 1.3 | 1 | 0.5 | 1 |
| 2020 | 2.2 | -5.6 | -10.3 | -2.7 | 1.5 | 0.6 | -0.4 | -0.7 | 0.7 | -2.5 | 0.5 | 0.3 | -15.8 |
| 2021 | 2.3 | 1.9 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
